Tree Boosting Data Competitions with XGBoost

This Master's Degree Thesis objective is to provide understanding on how to approach a supervised learning predictive problem and illustrate it using a statistical/machine learning algorithm, Tree Boosting. A review of tree methodology is introduced in order to understand its evolution, since Classification and Regression Trees, followed by Bagging, Random Forest and, nowadays, Tree Boosting. The methodology is explained following the XGBoost implementation, which achieved state-of-the-art results in several data competitions. A framework for applied predictive modelling is explained with its proper concepts: objective function, regularization term, overfitting, hyperparameter tuning, k-fold cross validation and feature engineering. All these concepts are illustrated with a real dataset of videogame churn; used in a datathon competition

Bounded Coordinate-Descent for Biological Sequence Classification in High Dimensional Predictor Space

We present a framework for discriminative sequence classification where the learner works directly in the high dimensional predictor space of all subsequences in the training set. This is possible by employing a new coordinate-descent algorithm coupled with bounding the magnitude of the gradient for selecting discriminative subsequences fast. We characterize the loss functions for which our generic learning algorithm can be applied and present concrete implementations for logistic regression (binomial log-likelihood loss) and support vector machines (squared hinge loss). Application of our algorithm to protein remote homology detection and remote fold recognition results in performance comparable to that of state-of-the-art methods (e.g., kernel support vector machines). Unlike state-of-the-art classifiers, the resulting classification models are simply lists of weighted discriminative subsequences and can thus be interpreted and related to the biological problem

OCReP: An Optimally Conditioned Regularization for Pseudoinversion Based Neural Training

In this paper we consider the training of single hidden layer neural networks by pseudoinversion, which, in spite of its popularity, is sometimes affected by numerical instability issues. Regularization is known to be effective in such cases, so that we introduce, in the framework of Tikhonov regularization, a matricial reformulation of the problem which allows us to use the condition number as a diagnostic tool for identification of instability. By imposing well-conditioning requirements on the relevant matrices, our theoretical analysis allows the identification of an optimal value for the regularization parameter from the standpoint of stability. We compare with the value derived by cross-validation for overfitting control and optimisation of the generalization performance. We test our method for both regression and classification tasks. The proposed method is quite effective in terms of predictivity, often with some improvement on performance with respect to the reference cases considered. This approach, due to analytical determination of the regularization parameter, dramatically reduces the computational load required by many other techniques.Comment: Published on Neural Network

A two-step learning approach for solving full and almost full cold start problems in dyadic prediction

Dyadic prediction methods operate on pairs of objects (dyads), aiming to infer labels for out-of-sample dyads. We consider the full and almost full cold start problem in dyadic prediction, a setting that occurs when both objects in an out-of-sample dyad have not been observed during training, or if one of them has been observed, but very few times. A popular approach for addressing this problem is to train a model that makes predictions based on a pairwise feature representation of the dyads, or, in case of kernel methods, based on a tensor product pairwise kernel. As an alternative to such a kernel approach, we introduce a novel two-step learning algorithm that borrows ideas from the fields of pairwise learning and spectral filtering. We show theoretically that the two-step method is very closely related to the tensor product kernel approach, and experimentally that it yields a slightly better predictive performance. Moreover, unlike existing tensor product kernel methods, the two-step method allows closed-form solutions for training and parameter selection via cross-validation estimates both in the full and almost full cold start settings, making the approach much more efficient and straightforward to implement

Estimation and Regularization Techniques for Regression Models with Multidimensional Prediction Functions

Boosting is one of the most important methods for fitting regression models and building prediction rules from high-dimensional data. A notable feature of boosting is that the technique has a built-in mechanism for shrinking coefficient estimates and variable selection. This regularization mechanism makes boosting a suitable method for analyzing data characterized by small sample sizes and large numbers of predictors. We extend the existing methodology by developing a boosting method for prediction functions with multiple components. Such multidimensional functions occur in many types of statistical models, for example in count data models and in models involving outcome variables with a mixture distribution. As will be demonstrated, the new algorithm is suitable for both the estimation of the prediction function and regularization of the estimates. In addition, nuisance parameters can be estimated simultaneously with the prediction function